Agency Information Collection Activities: Proposed Information Collection; Submission for OMB Review, 66663-66667 [2012-27171]

Agencies

• Office of the Comptroller of the Currency
• DEPARTMENT OF THE TREASURY

[Federal Register Volume 77, Number 215 (Tuesday, November 6, 2012)]
[Notices]
[Pages 66663-66667]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-27171]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency


Agency Information Collection Activities: Proposed Information 
Collection; Submission for OMB Review

AGENCY: Office of the Comptroller of the Currency, Treasury.

ACTION: Notice and request for comment.

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SUMMARY: The Office of the Comptroller of the Currency (OCC), as part 
of its continuing effort to reduce paperwork and respondent burden, 
invites the general public and other Federal agencies to take this 
opportunity to comment on a continuing information collection, as 
required by the Paperwork Reduction Act of 1995.
    An agency may not conduct or sponsor, and a respondent is not 
required to respond to, an information collection unless it displays a 
currently valid OMB control number. The OCC is soliciting comment 
concerning its information collection titled, ``Company-Run Annual 
Stress Test Reporting Template and Documentation for Covered 
Institutions with Total Consolidated Assets of $50 Billion or More 
under the Dodd-Frank Wall Street Reform and Consumer Protection Act.''
    The OCC is also announcing that the proposed collection of 
information has been submitted to the Office of Management and Budget 
(OMB) for review and clearance under the Paperwork Reduction Act of 
1995.

DATES: Comments must be received by December 6, 2012.

ADDRESSES: Communications Division, Office of the Comptroller of the 
Currency, Mailstop 2-3, Attention: 1557-0237, 250 E Street SW., 
Washington, DC 20219. In addition, comments may be sent by fax to (202) 
874-5274 or by electronic mail to regs.comments@occ.treas.gov. You may 
personally inspect and photocopy comments at the OCC, 250 E Street SW., 
Washington, DC 20219. For security reasons, the OCC requires that 
visitors make an appointment to inspect comments. You may do so by 
calling (202) 874-4700. Upon arrival, visitors will be required to 
present valid government-issued photo identification and to submit to 
security screening in order to inspect and photocopy comments.
    Additionally, please send a copy of your comments by mail to: OCC 
Desk Officer, 1557-0237, U.S. Office of Management and Budget, 725 17th

[[Page 66664]]

Street NW., 10235, Washington, DC 20503, or by fax to (202) 
395-6974.

FOR FURTHER INFORMATION CONTACT: You can request additional information 
or a copy of the collection from Johnny Vilela or Mary H. Gottlieb, OCC 
Clearance Officers, (202) 874-5090, Legislative and Regulatory 
Activities Division, Office of the Comptroller of the Currency, 250 E 
Street SW., Washington, DC 20219.

SUPPLEMENTARY INFORMATION: In compliance with 44 U.S.C. 3507, OCC has 
submitted the following proposed collection of information to OMB for 
review and clearance.

Company-Run Annual Stress Test Reporting Template and Documentation for 
Covered Institutions With Total Consolidated Assets of $50 Billion or 
More Under the Dodd-Frank Wall Street Reform and Consumer Protection 
Act

    Section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act \1\ (Dodd-Frank Act) requires certain financial 
companies, including national banks and Federal savings associations, 
to conduct annual stress tests \2\ and requires the primary financial 
regulatory agency \3\ of those financial companies to issue regulations 
implementing the stress test requirements.\4\ A national bank or 
Federal savings association is a ``covered institution'' and therefore 
subject to the stress test requirements if its total consolidated 
assets are more than $10 billion. Under section 165(i)(2), a covered 
institution is required to submit to the Board of Governors of the 
Federal Reserve System (Board) and to its primary financial regulatory 
agency a report at such time, in such form, and containing such 
information as the primary financial regulatory agency may require.\5\ 
On October 9, 2012, the OCC published in the Federal Register a final 
rule implementing the section 165(i)(2) annual stress test 
requirement.\6\ This notice describes the reports and information 
required to meet the reporting requirements under section 165(i)(2). 
These information collections will be given confidential treatment (5 
U.S.C. 552(b)(4)).
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    \1\ Public Law 111-203, 124 Stat. 1376, July 2010.
    \2\ 12 U.S.C. 5365(i)(2)(A).
    \3\ 2 U.S.C. 5301(12).
    \4\ 12 U.S.C. 5365(i)(2)(C).
    \5\ 12 U.S.C. 5365(i)(2)(B).
    \6\ 77 FR 61238, October 9, 2012--Prior to issuance of the final 
rule, the OCC published on January 24, 2012, a notice of proposed 
rulemaking (NPR) implementing the section 165(i)(2) annual stress 
test requirement (77 FR 3408).
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    The OCC intends to use the data collected through these templates 
proposal to assess the reasonableness of the stress test results of 
covered institutions and to provide forward-looking information to the 
OCC regarding a covered institution's capital adequacy. The OCC also 
may use the results of the stress tests to determine whether additional 
analytical techniques and exercises could be appropriate to identify, 
measure, and monitor risks at the covered institution. The stress test 
results are expected to support ongoing improvement in a covered 
institution's stress testing practices with respect to its internal 
assessments of capital adequacy and overall capital planning.
    The Dodd-Frank Act stress testing requirements apply to all covered 
institutions, but the OCC recognizes that many covered institutions 
with consolidated total assets of $50 billion or more have been subject 
to stress testing requirements under the Board's Comprehensive Capital 
Analysis and Review (CCAR). The OCC also recognizes that these 
institutions' stress tests will be applied to more complex portfolios 
and therefore warrant a broader set of reports to adequately capture 
the results of the company-run stress tests. These reports will 
necessarily require more detail than would be appropriate for smaller, 
less complex institutions. Therefore, the OCC has decided to specify 
separate reporting templates for covered institutions with total 
consolidated assets between $10 and $50 billion and for covered 
institutions with total consolidated assets of $50 billion or more. In 
cases where a covered institution with assets less than $50 billion is 
affiliated with a banking organization with assets of $50 billion or 
more, the OCC reserves the authority to require that covered 
institution to use the reporting template for larger institutions with 
total consolidated assets of $50 billion or more. The OCC may also, on 
a case-by-case basis, require a covered institution with assets of $50 
billion or more to report stress test results using a simpler format to 
be specified by the OCC. The reporting templates for institutions with 
assets of $50 billion or more are described below.
    The OCC has worked closely with the Board and the Federal Deposit 
Insurance Corporation (FDIC) to make the agencies' respective rules 
implementing annual stress testing under the Dodd-Frank Act consistent 
and comparable by requiring similar standards for scope of application, 
scenarios, data collection and reporting forms. The OCC has worked to 
minimize any potential duplication of effort related to the annual 
stress test requirements. The OCC also recognizes that many covered 
institutions with total consolidated assets of $50 billion or more are 
required to submit reports using CCAR reporting form FR Y-14A.\7\ 
Therefore, the OCC based its reporting requirements closely on the 
Board's form FR Y-14A for covered institutions with total consolidated 
assets of $50 billion or more. The OCC recognizes the Board modified 
the FR Y-14A and, to the extent practical, the OCC anticipates keeping 
its reporting requirements consistent with the Board's FR Y-14A in 
order to minimize burden on covered institutions.\8\ In order to fully 
evaluate the stress test results submissions, the OCC may conduct 
follow up discussions with or request responses to follow up questions 
from respondents, as needed.
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    \7\ https://www.federalreserve.gov/reportforms.
    \8\ 77 FR 60695, October 4, 2012.
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Description of Reporting Templates for Institutions With $50 Billion or 
More in Assets

    The OCC DFAST-14A Summary Schedule includes data collection 
worksheets necessary for the OCC to assess the company-run stress test 
results for baseline, adverse and severely adverse scenarios as well as 
any other scenario specified in accordance with regulations specified 
by the OCC. The DFAST-14A Summary Schedule includes worksheets that 
collect information on the following areas:
    1. Income Statement;
    2. Balance Sheet;
    3. Capital Statement;
    4. Retail Risk;
    5. Securities: Available-for-Sale/Held to Maturity (AFS/HTM);
    6. Trading;
    7. Counterparty Credit Risk (CCR);
    8. Operational Risk; and
    9. Pre-Provision Net Revenue (PPNR).

Each covered institution reporting to the OCC using this form will be 
required to submit to the OCC a separate DFAST-14A Summary Schedule for 
each scenario provided to covered institutions in accordance with 
regulations implementing Section 165(i)(2) as specified by the OCC.

Worksheets: Income Statement

    This income statement worksheet collects data for the quarter 
preceding the planning horizon and for each quarter of the planning 
horizon for the stress test on projected losses and revenues in the 
following categories.
    1. Loan losses;
    2. Losses due to contingent commitments and liabilities;

[[Page 66665]]

    3. Other Than Temporary Impairments (OTTI) on assets held to 
maturity and available for sale;
    4. Trading account losses;
    5. Allowance for loan and lease losses;
    6. Pre-provision net revenue; and
    7. Repurchase reserve/liability for representations and warranties.

This schedule provides information used to assess losses that covered 
institutions can sustain in adverse and severely adverse stress 
scenarios.

Worksheets: Balance Sheet

    The balance sheet worksheet collects data for the quarter preceding 
the planning horizon and for each quarter of the planning horizon for 
the stress test on projected equity capital, as well as on assets and 
liabilities in the following categories.
    1. HTM Securities;
    2. AFS Securities;
    3. Loans;
    4. Trading Assets;
    5. Intangibles;
    6. Deposits; and
    7. Trading Liabilities.

The OCC intends to use this worksheet to assess the projected changes 
in assets and liabilities that a covered institution can sustain in an 
adverse and severely adverse stress scenario. This worksheet will also 
be used to assess the revenue and loss projections identified in the 
income statement worksheet.

Worksheets: Capital

    The capital worksheet collects data for the quarter preceding the 
planning horizon and for each quarter of the planning horizon for the 
stress test on the following areas.
    1. Changes to Equity Capital;
    2. Changes to Regulatory Capital; and
    3. Capital Actions.

The OCC intends to use this worksheet to assess the impact on capital 
of the projected losses and projected changes in assets that the 
covered institution can sustain in a stressed scenario. In addition to 
reviewing the worksheet in the context of the balance sheet and income 
statement projections, the OCC also intends to use this worksheet to 
assess the adequacy of the capital plans and capital planning processes 
for each covered institution.

Worksheets: Retail Projections

    The retail projections worksheets collect data for each quarter of 
the planning horizon for the stress test on projected balances and 
losses for major retail portfolios: residential real estate, credit 
card, automobile, student loans, small business loans, and other 
consumer. For residential real estate, the worksheets collect data for 
first lien mortgages, home equity lines of credit, and home equity 
loans. For all major retail portfolios, the worksheets contain separate 
segments for domestic and international loans for various product 
types. Within each broad product-type segment, the reporting for the 
portfolio is divided into a number of sub-segments that embody unique 
risk characteristics. This modular product-type design of the retail 
worksheet allows for a targeted data collection that encompasses only 
the material portfolios in a given product area for a particular 
covered institution. A covered institution would be required to 
complete only the segments and sub-segments material for that 
institution. This design is intended to limit burden while maximizing 
the supervisory information produced from the collection.

Worksheets: Securities

    Several securities worksheets collect data related to AFS and HTM 
securities. The worksheets collect data and information such as: 
projected OTTI by asset class for each quarter of the forecast time 
horizon; methodologies and assumptions used to generate the OTTI 
projections for each asset class; projected stressed fair market value 
(FMV) for each asset class as well as qualitative information on the 
methodologies and assumptions used to generate the stressed market 
value; and actual FMV including the source (vendor or proprietary) and 
key assumptions used in determining market values (if using a 
proprietary model).

Worksheets: Trading and Counterparty Risk

    The trading and counterparty risk worksheets collect projected 
losses associated with a specified global market risk scenario for 
covered institutions with large trading operations. The OCC provides a 
set of risk factors relevant to the trading and counterparty positions 
so that respondent covered institutions project trading and 
counterparty components in the adverse and severely adverse scenarios.
    Completion of the trading and counterparty risk worksheets would be 
required only for those institutions subject to the market shock 
provided by the OCC.

Worksheets: Operational Risk

    The operational risk worksheets collect data on covered 
institutions' projections of operational losses for each quarter of the 
planning horizon for the stress test. Operational losses are defined as 
losses arising from inadequate or failed internal processes, people, 
and systems or from external events including legal losses. Some 
examples of operational loss events are losses related to improper 
business practices (including class action lawsuits), execution errors, 
and fraud. Additional detail may be requested in order for the OCC to 
evaluate the transformation of the covered institutions' historical 
loss experience into operational loss projections. Additional detail 
also may be requested on any budgeting processes used to project 
operational losses.
    Completion of the operational risk worksheets would be required 
only for those institutions subject to advanced approaches risk-based 
capital rules.

Worksheets: PPNR

    For the PPNR worksheets, covered institutions must provide 
projections for the three major components of PPNR (net interest 
income, non-interest income, and non-interest expense) for each quarter 
of the planning horizon. Collection of these data in this format is 
based on the assumption that the revenues generated by different 
business lines are affected differently by different stress scenarios, 
and such a view facilitates a more robust analysis of the resulting 
projections.

Description of OCC DFAST-14A Counterparty Credit Risk Template

    The CCR template collects, on various worksheets, data to identify 
credit valuation adjustment (CVA), exposures, and CVA sensitivities for 
the covered institution's top counterparties along a number of 
dimensions, including current CVA, stressed CVA, net current exposure, 
and gross current exposure. Covered institutions also must submit 
aggregate CVA, exposures, and CVA sensitivities by ratings categories. 
The Notes to the CCR Schedule worksheet allows covered institutions to 
voluntarily submit additional information to provide clarity to the 
portfolio. Covered institutions are required to report results for one 
scenario and two specifications to capture Expected Exposure profiles.
    Completion of the CCR template would be required only for those 
institutions subject to the market shock provided by the OCC.

Description of OCC DFAST-14A Basel III and Dodd-Frank Template

    The Basel III and Dodd-Frank template collects projections of Tier 
1 Common Equity, Tier 1 Capital, Risk-

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Weighted Assets (RWA), and Leverage Exposures (along with granular 
components of those elements) under the baseline scenario for each year 
through 2017. Banks are required to complete the schedule based on the 
methodologies outlined in the U.S. banking agencies NPRs: Basel III 
NPR, Advanced Approaches NPR, and final market risk capital rule (see 
OCC Joint Release NR 2012-88 dated June 12, 2012). Covered institutions 
also are required to include data on the projected impact of any 
significant actions planned in response to Basel III and the Dodd-Frank 
Act (for example, asset sales, asset wind-downs, and data collection 
and modeling enhancements). The OCC expects to align this template and 
its instructions with the rules implementing the Basel III framework in 
the U.S. when those rules are final.

Description of OCC DFAST-14A Regulatory Capital Instruments Template

    The regulatory capital instruments schedule collects historical 
data and projections of covered institutions' balances of the funded 
instruments that are included in regulatory capital. The schedule 
collects data by instrument type, in addition to projections for 
issuances and redemptions that contribute to changes in balances under 
the covered institution baseline scenario.

Description of OCC DFAST-14A Operational Risk Template

    The operational risk schedule collects data on covered 
institutions' historical and current operational losses. This schedule 
is only required from covered institutions subject to the advanced 
approaches risk-based capital rules. The first worksheet gathers data 
on covered institutions' operational risk capital by unit-of-measure 
(undiversified basis) from Q4 of the previous year to Q3 of the 
reporting year. The second worksheet gather data on the total dollar 
value of a covered institutions' legal reserve balance as of September 
30.

Description of OCC DFAST-14A Scenario Template

    To conduct the stress test required under this rule, a covered 
institution may need to project additional economic and financial 
variables to estimate losses or revenues for some or all of its 
portfolios. In such a case, the covered institution is required to 
complete a worksheet for each scenario where such additional variables 
are used to conduct the stress test. Each scenario worksheet collects 
the variable name (matching that reported on the Scenario Variable 
Definitions worksheet), the actual value of the variable during the Q3 
of the reporting year, and the projected value of the variable for nine 
future quarters.

Description of OCC DFAST-14A Contact Information Template

    The contact information template includes a directory worksheet for 
reporting points of contact for each of the templates described above: 
summary, counterparty credit risk, Basel III and Dodd-Frank, 
operational risk, regulatory capital instruments, and scenario.

Description of Supporting Documentation

    Covered institutions must submit clear documentation of the 
projections included in the worksheets to support efficient and timely 
review of annual stress test results by the OCC. The supporting 
documentation should be submitted electronically and is not expected to 
be reported in the workbooks used for required data reporting. This 
supporting documentation must clearly describe the methodology used to 
produce the stress test projections, and must include how the 
macroeconomic factors were translated into a covered institution's 
projections, as well as technical details of any underlying statistical 
methods used. Where company-specific assumptions are made that differ 
from the broad macroeconomic assumptions incorporated in stress 
scenarios provided by the OCC, the documentation must also describe 
such assumptions and how those assumptions relate to reported 
projections. Where historical relationships are relied upon, the 
covered institutions must describe the historical data and provide the 
basis for the expectation that these relationships would be maintained 
in each scenario, particularly under adverse and severely adverse 
conditions.

Comment Summary

    In the Federal Register of August 16, 2012 (77 FR 49488), OCC 
published a 60-day notice requesting public comment on the templates 
and the collection of information. OCC received three comments on the 
notice. Two of the comments received were from banking organizations 
and one was from an industry group.
    The commenters generally expressed support for stress testing and 
for the OCC's efforts to ensure appropriate risk management processes. 
In addition, two commenters acknowledged the OCC's efforts to 
coordinate with the other agencies and avoid duplication of efforts. 
However, the commenters also advocated that several changes be made to 
the templates. Two commenters urged the OCC to more closely align the 
data collection templates to those of the other agencies, with one 
commenter suggesting that the Board, FDIC, and OCC develop one common 
set of data templates to reduce cost and burden on banking 
organizations.
    One commenter requested that the OCC provide more clarity about how 
the OCC will use the data collected and provide more detailed 
instructions, while a second requested that the OCC include a formal 
process for addressing questions seeking clarification of the reporting 
templates. Another commenter urged the OCC to permit banks which 
comprise nearly all material activities of the parent holding company 
to incorporate by reference into the bank's OCC stress test submission 
the results of the holding company's CCAR tests.
    After carefully considering the comments received, the OCC aligned 
its reporting forms with those of the Federal Reserve to the extent 
practicable. For example, the Basel III Capital template will only 
collect results related to the baseline scenario on an annual basis 
rather than quarterly results under the adverse and severely adverse 
scenarios. However, some elements required by the Federal Reserve are 
only applicable at the bank holding company level and the Federal 
Reserve required some elements to fulfill its other obligations related 
to covered companies' stress tests. The OCC will continue to consider 
the practicability of a single set of reporting forms or the use of 
cross-references.
    The OCC does not believe it is appropriate for covered institutions 
to simply reference holding company stress test results, even where the 
covered institution or institutions comprise the bulk of holding 
company activities. This is consistent with the treatment under the 
OCC's final rule implementing section 165(i)(2), which requires such 
covered institutions to conduct annual stress tests.\9\ The OCC notes 
that under that rule, a covered institution that is a subsidiary of a 
holding company subject to the Board's annual stress testing rule 
generally may use the stress testing systems and processes of the 
holding company where appropriate, which will reduce

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the burden associated with separate reporting.
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    \9\ 77 FR 61238 (October 9, 2012); see also 77 FR 3408 (January 
24, 2012) (Notice of proposed rulemaking).
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    Finally, the OCC believes that established OCC processes for 
responding to queries from supervised entities will be adequate to 
address any questions related to use of these reporting templates, and 
that no additional formal processes are necessary.

Burden Estimates

    OCC estimates the burden of this collection of information as 
follows:
    Estimated Number of Respondents: 22.
    Estimated Total Annual Burden: 10,436 hours.
    The OCC recognizes the Board has estimated 79,200 hours for bank 
holding companies to prepare their systems for submitting data for the 
FR Y-14.\10\ The OCC believes that these systems will also be used to 
submit data for the reporting templates described in this notice.
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    \10\ 77 FR 60695 (October 4, 2012).
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    Comments continue to be invited on:
    (a) Whether the collection of information is necessary for the 
proper performance of the functions of the OCC, including whether the 
information has practical utility; (b) The accuracy of the OCC's 
estimate of the burden of the collection of information; (c) Ways to 
enhance the quality, utility, and clarity of the information to be 
collected; (d) Ways to minimize the burden of the collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and (e) Estimates 
of capital or start-up costs and costs of operation, maintenance, and 
purchase of services to provide information.

    Dated: November 2, 2012.
Michele Meyer,
Assistant Director, Legislative and Regulatory Activities Division.
[FR Doc. 2012-27171 Filed 11-5-12; 8:45 am]
BILLING CODE 4810-33-P